Essays about: "Gustav Dackner"

Found 1 essay containing the words Gustav Dackner.

  1. 1. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE